Bibliografia

Principal

  • Brownian motion and stochastic calculus: Karatzas and S. Shreve 2000 Springer
  • Numerical solution of stochastic differential equations: P.E.Kloeden and E.Platen 1999 Springer
  • Stochastic differential equations: an introduction with applications: B. Oksendal 1995 Universitext, Springer
  • The Mathematics of Financial Derivatives: A Student Introduction: P. Wilmott, S. Howison, J. Dewynne 1995 Cambridge University Press

Secundária

  • An algorithmic introduction to numerical simulation of stochastic differential equations: D.J.Higham 2001 SIAM Review, 43, pp.525-546
  • Numerical Solution of SDE Through Computer Experiments: P.E. Kloeden, E. Platen and H. Schurz 2007 ------
  • Stochastic numerics for mathematical physics: G.N.Milstein and M.V. Tretyakov 2004 Springer
  • Stochastic numerics for mathematical physics: G.N.Milstein and M.V. Tretyakov 2004 Springer
  • An introduction to numerical methods for stochastic differential equations: E. Platen 1999 Acta Numerica, pp. 197-246